Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market

Date
2013
Authors
Sensoy, A.
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Source Title
Chaos, Solitons and Fractals
Print ISSN
0960-0779
Electronic ISSN
1873-2887
Publisher
Elsevier
Volume
57
Issue
Pages
85 - 88
Language
English
Type
Article
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Abstract

We study the presence of long memory in a variety of interest rates in Turkey by time-varying generalized Hurst exponent. We reveal that adopting inflation targeting cause a sudden and considerable decrease in the long memory in interest rates. The improvement lasts till the collapse of Lehman Brothers in 2008 which is followed with an increased persistence in interest rates. Moreover, degree of long memory increases with maturity which is in contrast to economic theory.

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Keywords
Economic theories, Emerging markets, Generalized hurst exponent, Interest rates, Lehman brothers, Long memory, Monetary policies, Time varying, Mathematical techniques, Economics
Citation
Published Version (Please cite this version)